DOC: Docstring and whatsnew for masked custom factors.

docs/source/whatsnew/0.9.1.txt

@@ -17,7 +17,10 @@ None
 Enhancements
 ~~~~~~~~~~~~
 
-None
+* Added masking to :class:`zipline.pipeline.CustomFactor`.
+  Custom factors can now be passed a Filter upon instantiation. This tells the
+  factor to only compute over stocks for which the filter returns True, rather
+  than always computing over the entire universe of stocks. (:issue:`1095`)
 
 Experimental Features
 ~~~~~~~~~~~~~~~~~~~~~

zipline/pipeline/factors/factor.py

@@ -1136,6 +1136,11 @@ class CustomFactor(PositiveWindowLengthMixin, CustomTermMixin, Factor):
         Number of rows to pass for each input.  If this argument is not passed
         to the CustomFactor constructor, we look for a class-level attribute
         named `window_length`.
+    mask : zipline.pipeline.Filter, optional
+        A Filter describing the assets on which we should compute each day.
+        Each call to ``CustomFactor.compute`` will only receive assets for
+        which ``mask`` produced True on the day for which compute is being
+        called.
 
     Notes
     -----